Post #4430 by lizgdal on the Mechanical Investing board

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Investment Strategies / Mechanical Investing

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DBE CAGR improvement, sorted by S5T return:

  Period   S5T  S5T_DBE0  Improvement
1930-1935  -11      1         13
1970-1975  -2       7          9
2000-2005  -2       4          7
2005-2010   1       7          7
1965-1970   5       7          2
1940-1945   8       5         -3
1990-1995   9       5         -3
1935-1940   9      16          7
1945-1950  10       8         -3
1960-1965  11      12          1
2015-2020  12      10         -2
1975-1980  15      12         -2
2020- now  15      14         -1
1980-1985  15      19          5
1955-1960  15      13         -2
2010-2015  15      13         -3
1985-1990  20      19         -2
1950-1955  24      23         -1
1995-2000  29      28         -1

S5T is the S&P 500 market cap index (similar to SPY).
S5T_DBE0 goes to CASH when DBE is zero.

When the market is hot, DBE pays a small insurance premium, and so has a lower CAGR.
When the market crashes, DBE limits the damage, and so has a higher CAGR.

https://gtr1.net/2013/?~S5T_DBE0:h1::trp%281,1%29n...

https://gtr1.net/2013/?~S5T:h1::trp%281,1%29ne-999...

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